Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
A new index of housing sentiment. / Bork, Lasse; Møller, Stig Vinther; Pedersen, Thomas Quistgaard.
I: Management Science, Bind 66, Nr. 4, 04.2020, s. 1563-1583.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
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TY - JOUR
T1 - A new index of housing sentiment
AU - Bork, Lasse
AU - Møller, Stig Vinther
AU - Pedersen, Thomas Quistgaard
PY - 2020/4
Y1 - 2020/4
N2 - We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.
AB - We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.
U2 - 10.1287/mnsc.2018.3258
DO - 10.1287/mnsc.2018.3258
M3 - Journal article
VL - 66
SP - 1563
EP - 1583
JO - Management Science
JF - Management Science
SN - 0025-1909
IS - 4
ER -